Journal
JOURNAL OF ECONOMIC SURVEYS
Volume 22, Issue 3, Pages 458-497Publisher
BLACKWELL PUBLISHING
DOI: 10.1111/j.1467-6419.2007.00538.x
Keywords
temporal aggregation; ARIMA; seasonality; GARCH; vector ARMA; spurious causality; multivariate GARCH
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We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail, although intuitively, the technical machinery behind the results. Some empirical applications illustrate the main issues.
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